Learning from time series: Supervised Aggregative Feature Extraction

Andrea Schirru*, Gian Antonio Susto, Simone Pampuri, Sean McLoone

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

17 Citations (Scopus)


Many modeling problems require to estimate a scalar output from one or more time series. Such problems are usually tackled by extracting a fixed number of features from the time series (like their statistical moments), with a consequent loss in information that leads to suboptimal predictive models. Moreover, feature extraction techniques usually make assumptions that are not met by real world settings (e.g. uniformly sampled time series of constant length), and fail to deliver a thorough methodology to deal with noisy data. In this paper a methodology based on functional learning is proposed to overcome the aforementioned problems; the proposed Supervised Aggregative Feature Extraction (SAFE) approach allows to derive continuous, smooth estimates of time series data (yielding aggregate local information), while simultaneously estimating a continuous shape function yielding optimal predictions. The SAFE paradigm enjoys several properties like closed form solution, incorporation of first and second order derivative information into the regressor matrix, interpretability of the generated functional predictor and the possibility to exploit Reproducing Kernel Hilbert Spaces setting to yield nonlinear predictive models. Simulation studies are provided to highlight the strengths of the new methodology w.r.t. standard unsupervised feature selection approaches.

Original languageEnglish
Article number6427042
Pages (from-to)5254-5259
Number of pages6
JournalProceedings of the IEEE Conference on Decision and Control
Publication statusPublished - 01 Dec 2012

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modelling and Simulation
  • Control and Optimization


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